摘要翻译：
投资组合多样化的潜在好处早已为投资者所知。Markowitz(1952)提出了优化投资组合问题的开创性方法，其基础是寻找使基本投资组合方差最小化的预算份额的权重。Hatemi-J和El-Khatib(2015)建议找到将导致投资组合风险调整后收益最大化的权重。这种方法似乎更受理性投资者的青睐，因为当寻求最优预算份额时，它结合了风险和收益。本文提供了一个风险调整后的收益问题的一般解决方案，可以用于任何潜在数量的资产，包括在投资组合中。
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英文标题：
《Exact Solution for the Portfolio Diversification Problem Based on
  Maximizing the Risk Adjusted Return》
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作者：
Abdulnasser Hatemi-J, Mohamed Ali Hajji and Youssef El-Khatib
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最新提交年份：
2019
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分类信息：

一级分类：Economics        经济学
二级分类：Theoretical Economics        理论经济学
分类描述：Includes theoretical contributions to Contract Theory, Decision Theory, Game Theory, General Equilibrium, Growth, Learning and Evolution, Macroeconomics, Market and Mechanism Design, and Social Choice.
包括对契约理论、决策理论、博弈论、一般均衡、增长、学习与进化、宏观经济学、市场与机制设计、社会选择的理论贡献。
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英文摘要：
  The potential benefits of portfolio diversification have been known to investors for a long time. Markowitz (1952) suggested the seminal approach for optimizing the portfolio problem based on finding the weights as budget shares that minimize the variance of the underlying portfolio. Hatemi-J and El-Khatib (2015) suggested finding the weights that will result in maximizing the risk adjusted return of the portfolio. This approach seems to be preferred by the rational investors since it combines risk and return when the optimal budget shares are sought for. The current paper provides a general solution for this risk adjusted return problem that can be utilized for any potential number of assets that are included in the portfolio.
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PDF链接：
https://arxiv.org/pdf/1903.01082